Data File Location in Office XP

When you open or save a file in Office XP (Word, Excel, etc.) it shows your location as “My Documents.” I want it to show the true path where the file is located such as “x:\Wordfiles\correspondence” or just “correspondence” like previous versions did. Going to Tools/Options/File Locations and setting the path does not work. It still shows “My Documents” even though there is no folder called “My Documents.” Can someone help?